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Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange

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  • Hung, Pi-Hsia
  • Lien, Donald

Abstract

We examine the relationships among stock traders’ trading aggressiveness, order execution quality, and stock price movements in the Taiwan Stock Exchange. Our analyses yield the following findings. Institutional investors have a lower level of trading aggressiveness than individuals. In terms of order immediacy, investment trusts and foreign investors tend to pay higher (lower) prices to buy (sell) stocks. Professional institutions spend much shorter time completing trades per order (<6 min), but obtain higher fill rates (about 99%) than other institutions and individuals. In addition, professional institutions tend to make smart decisions, earning profits for buy orders while reducing losses for sell orders.

Suggested Citation

  • Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
    • Handle: RePEc:eee:intfin:v:60:y:2019:i:c:p:231-251
    DOI: 10.1016/j.intfin.2019.01.002
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    Cited by:

    1. Vladim'ir Hol'y & Petra Tomanov'a, 2021. "Modeling Price Clustering in High-Frequency Prices," Papers 2102.12112, arXiv.org, revised Mar 2021.
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    3. Wang, Yaqi & Wang, Chunfeng & Sensoy, Ahmet & Yao, Shouyu & Cheng, Feiyang, 2022. "Can investors’ informed trading predict cryptocurrency returns? Evidence from machine learning," Research in International Business and Finance, Elsevier, vol. 62(C).
    4. Donald Lien & Pi-Hsia Hung & Chiu-Ting Pan, 2020. "Price limit changes, order decisions, and stock price movements: an empirical analysis of the Taiwan Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 239-268, July.
    5. Chiou, Calvin J. & Zhou, Xiaozhou & Chan, Chang, 2022. "A taxonomy of individual liquidity provision: Evidence from the Taiwan stock exchange," Finance Research Letters, Elsevier, vol. 50(C).

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    More about this item

    Keywords

    Market quality; Market microstructure; Order submission;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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